Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0575 |
| Annualized Std Dev | 0.1623 |
| Annualized Sharpe (Rf=0%) | 0.3542 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3647.0000 |
| NAs | 1.0000 |
| Minimum | -0.0922 |
| Quartile 1 | -0.0040 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0051 |
| Maximum | 0.0986 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0102 |
| Skewness | -0.0838 |
| Kurtosis | 13.9031 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0074 |
| Gain Deviation | 0.0074 |
| Loss Deviation | 0.0082 |
| Downside Deviation (MAR=210%) | 0.0122 |
| Downside Deviation (Rf=0%) | 0.0073 |
| Downside Deviation (0%) | 0.0073 |
| Maximum Drawdown | 0.4389 |
| Historical VaR (95%) | -0.0148 |
| Historical ES (95%) | -0.0243 |
| Modified VaR (95%) | -0.0139 |
| Modified ES (95%) | -0.0139 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-13 | 2009-03-09 | 2011-04-27 | -0.4389 | 849 | 310 | 539 |
| 2020-01-23 | 2020-03-23 | 2020-09-02 | -0.2459 | 156 | 42 | 114 |
| 2018-01-29 | 2018-12-24 | 2019-09-03 | -0.1834 | 402 | 229 | 173 |
| 2011-06-01 | 2011-08-09 | 2012-03-08 | -0.1739 | 195 | 49 | 146 |
| 2016-09-07 | 2016-12-01 | 2017-04-24 | -0.1138 | 158 | 61 | 97 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | -0.5 | -0.2 | -0.2 | -0.4 | -1.4 |
| 2007 | 0.4 | -0.3 | 0.2 | -0.3 | 0.6 | -0.3 | 0.5 | 1.3 | 0.5 | -1.6 | 0.3 | -0.4 | 0.8 |
| 2008 | 0.9 | -1.9 | 1.5 | 0.6 | 0.1 | 0.1 | -1.2 | -0.9 | 1.2 | 0.5 | -8.1 | 1.3 | -6.1 |
| 2009 | -1.9 | 0.6 | 2.2 | 0.5 | 1.4 | 1.5 | 0.6 | -1.5 | -1.3 | -2.2 | 1.9 | -0.7 | 1 |
| 2010 | 0.5 | 0.7 | 0.6 | -0.9 | 0.6 | 0.5 | 0 | 2.6 | 0.4 | -0.4 | 1.4 | 0.3 | 6.4 |
| 2011 | 1.4 | -0.6 | 0.6 | 0.6 | -1.5 | 0.4 | 0.1 | -0.4 | -1.4 | -1.5 | -0.2 | -0.2 | -2.7 |
| 2012 | 1 | 0.4 | 0.6 | 0 | -1.9 | 2.2 | 0 | 0.3 | 0.1 | 0.2 | 0.1 | 1.1 | 4.2 |
| 2013 | 0.8 | 0.3 | -0.2 | -0.2 | -2 | 0.9 | 0.6 | -0.1 | 0.1 | -0.3 | -0.1 | 0 | -0.2 |
| 2014 | -0.7 | 0.4 | -0.2 | 0.1 | 0.4 | 0.5 | 0.3 | -0.1 | -1 | 1.1 | -0.3 | -0.8 | -0.5 |
| 2015 | -1.5 | -0.1 | 0.4 | 0.6 | -0.4 | 0.6 | 0.4 | -2.6 | -0.2 | -0.9 | 0.6 | -1.2 | -4.2 |
| 2016 | 0.7 | 1.8 | 0.3 | -0.1 | 0.7 | 0 | -0.3 | 0.5 | 0.4 | -0.3 | -1 | -0.2 | 2.5 |
| 2017 | -0.2 | 0.3 | -0.2 | -0.2 | 0.6 | -0.1 | 0.1 | 0.2 | 0.2 | -0.2 | 0 | 0.3 | 1 |
| 2018 | 0.2 | -1.1 | 0.8 | -1 | -0.2 | 0.2 | -0.6 | -0.3 | 0 | 0.6 | 0.3 | 0.1 | -0.8 |
| 2019 | -0.1 | 0.2 | 0 | -1.1 | -1.1 | 0.2 | 0.1 | 0.1 | -0.7 | -0.1 | -0.1 | 0 | -2.6 |
| 2020 | -1.2 | -1.8 | -2.1 | -1.1 | 0.8 | 0.2 | -1.1 | -0.2 | 0.4 | -0.8 | 0.9 | 0.1 | -5.9 |
| 2021 | 0.4 | 1 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-09-21 25.4 SPY 132. -0.00480 -0.0027 0.0134 0.0595 0.0906 0.286 0.336 GLD 58.0 1.21e-2 0.0133
2 2006-09-22 25.4 SPY 131. -0.003 -0.0037 0.0132 0.0565 0.0835 0.277 0.352 GLD 58.5 9.50e-3 0.0192
3 2006-09-25 25.4 SPY 132. 0.0077 0.0026 0.0218 0.0599 0.0909 0.310 0.316 GLD 58.5 0. 0.0046
4 2006-09-26 25.5 SPY 134. 0.0083 0.0134 0.029 0.078 0.0987 0.332 0.313 GLD 58.7 4.10e-3 0.032
5 2006-09-27 25.5 SPY 134. 0.00120 0.00930 0.0254 0.0721 0.100 0.338 0.319 GLD 59.8 1.82e-2 0.0445
6 2006-09-28 25.5 SPY 134. -0.0004 0.0138 0.0238 0.0504 0.0988 0.325 0.307 GLD 59.8 -3.00e-4 0.0318
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
